价值投资策略在中国A股市场的可行性——基于几项财务指标的研究  

Feasibility of Value Strategy in A Share Market of China:Research Based on Several Financial Indicators

作　　者：林树[1,2] 夏和平 张程[1] 

机构地区：[1]南京大学会计学系,江苏南京210093 [2]南京大学会计与财务研究院,江苏南京210093 [3]南京市高淳县国家税务局,江苏南京211300

出　　处：《上海立信会计学院学报》2011年第1期27-39,共13页Journal of Shanghai Lixin University of Commerce

基　　金：国家自然科学基金重点项目(0932003);国家自然科学基金青年项目(71002025)国家社会科学基金重大招标项目(08&ZD050)

摘　　要：根据过度反应假说,文章以中国沪深A股市场上市公司为研究样本,对价值投资策略的绩效进行分析。参考Lakonishok,Shleifer and V ishny(1994)的研究方法,文章以E/P、B/M、C/P、GS等财务指标为选股指标构造投资组合。实证结果发现,除以个别指标构造的投资组合外,价值组合之持有收益率在持有期前两年显著高于魅力组合,而在第三年则没有发现显著差异。在考虑规模效应的影响后,依然发现价值组合之持有收益率显著高于魅力组合。研究结论认为,价值投资策略在中国股票市场依然适用。According to the overreaction theory, the research investigates the performance of value investment strategy based on several financial indicators and the result derived is based on the data of A share listed companies in Shanghai ＆ Shenzhen Stock Exchange. Referred to Lakonishok, Shleifer and Vishny（ 1994）, the paper selects some financial indicators, such as E/P, B/M, C/P and GS to construct the investment portfolio. The result reveals that the return of the value portfolio performs better than that of glamour portfolio in the first two years of holding period except for portfolio based on individual cases, while there is no significant difference in the third year. Considering the effect of size, the return of the value portfolio still performs better than that of glamour portfolio. In conclusion, the value investment strategy applies to China stock market.

关 键 词：价值策略 持有收益 价值组合 魅力组合 

分 类 号：F275[经济管理—企业管理]